Optimal portfolios of a long-term investor with floor or drawdown constraints
We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchm...
| Main Authors: | , |
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| Format: | Journal article |
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2016
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| _version_ | 1797067737778880512 |
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| author | Cherny, V Obloj, J |
| author_facet | Cherny, V Obloj, J |
| author_sort | Cherny, V |
| collection | OXFORD |
| description | We study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We further study the notion of long-run optimality of wealth processes via convergence of finite horizon value functions to the asymptotic optimal value. We characterise long-run optimality under floor and drawdown constraints. |
| first_indexed | 2024-03-06T22:00:36Z |
| format | Journal article |
| id | oxford-uuid:4e75d519-08fc-46ea-b24e-e5347e107097 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T22:00:36Z |
| publishDate | 2016 |
| record_format | dspace |
| spelling | oxford-uuid:4e75d519-08fc-46ea-b24e-e5347e1070972022-03-26T16:01:15ZOptimal portfolios of a long-term investor with floor or drawdown constraintsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:4e75d519-08fc-46ea-b24e-e5347e107097Symplectic Elements at Oxford2016Cherny, VObloj, JWe study the portfolio selection problem of a long-run investor who is maximising the asymptotic growth rate of her expected utility. We show that, somewhat surprisingly, it is essentially not affected by introduction of a floor constraint which requires the wealth process to dominate a given benchmark at all times. We further study the notion of long-run optimality of wealth processes via convergence of finite horizon value functions to the asymptotic optimal value. We characterise long-run optimality under floor and drawdown constraints. |
| spellingShingle | Cherny, V Obloj, J Optimal portfolios of a long-term investor with floor or drawdown constraints |
| title | Optimal portfolios of a long-term investor with floor or drawdown
constraints |
| title_full | Optimal portfolios of a long-term investor with floor or drawdown
constraints |
| title_fullStr | Optimal portfolios of a long-term investor with floor or drawdown
constraints |
| title_full_unstemmed | Optimal portfolios of a long-term investor with floor or drawdown
constraints |
| title_short | Optimal portfolios of a long-term investor with floor or drawdown
constraints |
| title_sort | optimal portfolios of a long term investor with floor or drawdown constraints |
| work_keys_str_mv | AT chernyv optimalportfoliosofalongterminvestorwithfloorordrawdownconstraints AT oblojj optimalportfoliosofalongterminvestorwithfloorordrawdownconstraints |